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Testing for Structural Breaks in Small Samples

2008-03-01 Business & Economics
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Release : 2008-03-01
Genre : Business & Economics
Kind : eBook
Book Rating : 770/5 ( reviews)

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Book Synopsis Testing for Structural Breaks in Small Samples by : Sergei Antoshin

Download or read book Testing for Structural Breaks in Small Samples written by Sergei Antoshin. This book was released on 2008-03-01. Available in PDF, EPUB and Kindle. Book excerpt: In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their methodology to deal with small samples by using Monte Carlo simulations to determine sample-specific critical values under the each time the test is run. We draw on the results of our simulations to offer practical suggestions on handling serial correlation, model misspecification, and the use of alternative test statistics for sequential testing. We show that, for most types of data generating processes in samples with as low as 50 observations, our proposed modifications perform substantially better.

Unit Roots, Cointegration, and Structural Change

1998 Business & Economics
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Release : 1998
Genre : Business & Economics
Kind : eBook
Book Rating : 822/5 ( reviews)

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Book Synopsis Unit Roots, Cointegration, and Structural Change by : G. S. Maddala

Download or read book Unit Roots, Cointegration, and Structural Change written by G. S. Maddala. This book was released on 1998. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive review of unit roots, cointegration and structural change from a best-selling author.

Unit Roots and Structural Breaks

2018
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Release : 2018
Genre :
Kind : eBook
Book Rating : 121/5 ( reviews)

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Book Synopsis Unit Roots and Structural Breaks by : Pierre Perron

Download or read book Unit Roots and Structural Breaks written by Pierre Perron. This book was released on 2018. Available in PDF, EPUB and Kindle. Book excerpt: Unit Roots and Structural Breaks.

Econometrics of Structural Change

2012-12-06 Business & Economics
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Release : 2012-12-06
Genre : Business & Economics
Kind : eBook
Book Rating : 123/5 ( reviews)

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Book Synopsis Econometrics of Structural Change by : Walter Krämer

Download or read book Econometrics of Structural Change written by Walter Krämer. This book was released on 2012-12-06. Available in PDF, EPUB and Kindle. Book excerpt: Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t

Unit-Root Testing Against the Alternative Hypothesis of Up to Structural Breaks

2005
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Release : 2005
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Book Synopsis Unit-Root Testing Against the Alternative Hypothesis of Up to Structural Breaks by : George Kapetanios

Download or read book Unit-Root Testing Against the Alternative Hypothesis of Up to Structural Breaks written by George Kapetanios. This book was released on 2005. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we provide tests for the unit-root hypothesis against the occurrence of an unspecified number of breaks which may be larger than 2 but smaller than the maximum number of breaks allowed, m, in univariate time-series models. The advocated procedure is considerably less computationally intensive than those widely used in the literature. We provide critical values for the test and examine its small sample properties through Monte Carlo experiments.

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